A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
Bibliographic Data
| ID | 19418752 |
|---|---|
| Authors | James H Stock (National Bureau of Economic Research), Jonathan H Wright (0000-0002-1182-3286, Johns Hopkins University), Motohiro Yogo (0000-0001-8778-778X, National Bureau of Economic Research) |
| Year | 2002 |
| Volume | 20 |
| Issue | 4 |
| Pages | 518-529 |
| Publication date | 2002-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500102288618658 |
| OpenAlex | W2083485815 |
| Language | EN |
| Citations received | 507 |
| References cited | 57 |
Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to GMM statistics with nonnormal distributions, even in large samples, so that conventional IV or GMM inferences are misleading. Fortunately, various procedures are now available for detecting and handling weak instruments in the linear IV model and, to a lesser degree, in nonlinear GMM
Econometrics · Generalized method of moments · Instrumental variable · Panel data · Physics · Statistics · Weak measurement · Complex Systems and Time Series Analysis · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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| Unique citing works | 507 |
|---|---|
| Citations per year | 21,13 |
| Citation span | 2002 - 2026 (25) |
| Citation velocity | current |
| Highly cited | Yes |
| Citation types | Neutral: 502 |